Kerry Back
Run GridSearchCV with
data["roeqx"] = data.groupby("industry").roeq.transform(
lambda x: x - x.mean()
)
data["mom12mx"] = data.groupby("industry").mom12m.transform(
lambda x: x - x.mean()
)param_grid = {
"transformedtargetregressor__regressor__max_depth": [3, 4, 5]
}
cv = GridSearchCV(
pipe,
param_grid=param_grid
)
X = data[["roeq", "mom12m", "roeqx", "mom12mx", "mom12mi", "industry"]]
y = data["rnk"]
cv.fit(X, y)